@article {Morana:2004:1350-4851:837,
title = "Frequency domain principal components estimation of fractionally cointegrated processes",
journal = "Applied Economics Letters",
parent_itemid = "infobike://routledg/rael",
publishercode ="routledg",
year = "2004",
volume = "11",
number = "13",
publication date ="2004-10-20T00:00:00",
pages = "837-842",
itemtype = "ARTICLE",
issn = "1350-4851",
eissn = "1466-4291",
url = "https://www.ingentaconnect.com/content/routledg/rael/2004/00000011/00000013/art00009",
doi = "doi:10.1080/1350485042000261298",
author = "Morana, Claudio",
abstract = "This study introduces a new frequency domain principal components estimator of the cointegration space and the loading matrix for the common factors for fractionally cointegrated long memory processes. A Monte Carlo simulation exercise reveals that the proposed estimator has already good properties with relatively small sample sizes.",
}